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I would like to trade a stock pair based on its ATR move of the day. In ThinkOrSwim, there is an "AverageTrueRange" study, however the numbers that it shows are incomprehensible to me. Consider ACE - Cb pair. The ATR(5-day) is something like 0.85, right now as I look at the ATR(5) study shows 0.23. further it has a range in the day of 0.189 to 0.42.

It makes more sense if this is a measure of the price-(yesterday's)close or close-price, but ATR is the greater of close-low, hi-close, and hi-lo. I've tried changing the period from 5 to 21, etc., but it makes little difference.

What I want is to know the (recent) ATR for the pair - so that I can tell how far the price has moved today compared to the ATR.

I would like to trade a stock pair based on its ATR move of the day. In ThinkOrSwim, there is an "AverageTrueRange" study, however the numbers that it shows are incomprehensible to me. Consider ACE - Cb pair. The ATR(5-day) is something like 0.85, right now as I look at the ATR(5) study shows 0.23. further it has a range in the day of 0.189 to 0.42.

It makes more sense if this is a measure of the price-(yesterday's)close or close-price, but ATR is the greater of close-low, hi-close, and hi-lo. I've tried changing the period from 5 to 21, etc., but it makes little difference.

What I want is to know the (recent) ATR for the pair - so that I can tell how far the price has moved today compared to the ATR.

Help!

are you saying that you want to compare the pair atr to the atr of one of the underlying? i am not understanding.

mark brown

{What I want is to know the (recent) ATR for the pair - so that I can tell how far the price has moved today compared to the ATR.} <atr of what?